Authors’ Reply: Pricing Annuity Guarantees Under a Regime-Switching Model - Discussion by Robert J. Elliott and Tak Kuen Siu

DOI10.1080/10920277.2009.10597559MaRDI QIDQ5029073zbMATH OpenOpenAlexFDO

Authors X. Sheldon Lin, Ken Seng Tan, Hailiang Yang

Publication date 11 February 2022

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2009.10597559

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cited in

(10)

• Application of data clustering and machine learning in variable annuity valuation
• Valuation of large variable annuity portfolios under nested simulation: a functional data approach
• On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
• On a multi-dimensional risk model with regime switching
• On a reduced form credit risk model with common shock and regime switching
• Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
• A hidden Markov regime-switching model for option valuation
• Valuation of guaranteed unitized participating life insurance under MEGB2 distribution
• Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
• Pricing annuity guarantees under a double regime-switching model

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